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Transaction Cost Analysis

Conduct trading cost, sensitivity, and post-trade execution analysis

Estimate trading costs, perform trading analytics, and optimize trading strategies using Kissell Research Group data and formulations. The transaction cost analysis functions decrypt the Kissell Research Group market-impact data to estimate trading costs. You can retrieve this data based on your credentials that consist of a user name and password. For details about credentials, contact the Kissell Research Group. For a simple example of transaction cost analysis, see Estimate Trading Costs for Collection of Stocks.


krgCreate Kissell Research Group transaction cost analysis object
costCurvesEstimate market-impact cost of order execution
iStarEstimate instantaneous trading cost for order
liquidityFactorEstimate and compare liquidation costs across stocks
marketImpactEstimate price movement due to order or trade
portfolioCostCurvesEstimate market-impact cost of order execution for portfolio
priceAppreciationEstimate trading cost due to natural price movement
timingRiskEstimate uncertainty of market impact cost


Estimate Trading Costs

Optimize Trading Strategies

Post-Trade Analysis

Metrics and Example Data Descriptions